If I was Sega and I wanted to get back into the hardware side of the industry there are two ways I would consider approaching this ...
1) "Software and Service" model. Regardless of whether you're talking about portable devices like cell-phones or MP3 players or home based devices like PCs or set top boxes, the vast array of hardware, user interfaces and operating systems is a major hurdle for developers and gamers from ever taking these systems seriously for gaming. If Sega built a far more secure version of Java, and designed a uniform user interface, you could create a platform that hardware manufacturers licenced and software developers paid to deliver content to without ever spending money manufacturing anything.
2) Emerging Markets. China and India (along with several other markets around the world) have a growing population of people with disposable income to spend on entertainment. If Sega took the dreamcast, increased its security, and built a business model surrounding small games which can be sold for $5 to $10 they could (in theory) capture a market that no one thinks is viable.
